Identifying the Shocks behind Business Cycle Asynchrony in Euroland

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URL:	https://ub-madoc.bib.uni-mannheim.de/31708
URN:	urn:nbn:de:bsz:180-madoc-317082
Document Type:	Working paper
Year of publication:	2012
The title of a journal, publication series:	Working Paper Series
Volume:	12-11
Place of publication:	Mannheim
Publication language:	English
Institution:	School of Law and Economics > VWL, Empirische Wirtschaftsforschung (Trenkler)
MADOC publication series:	Department of Economics > Working Paper Series
Subject:	330 Economics
Classification:	JEL: C32 , E32,
Keywords (English):	Common cycles , euro area , impulse responses , structural VAR , Wald tes
Abstract:	This paper investigates which shocks drive asynchrony of business cycles in the euro area. Thereby, it unites two strands of literature, those on common features and on structural VAR analysis. In particular, we show that the presence of a common cycle implies collinearity of structural impulse responses. Several Wald tests are applied to the latter hypothesis. Results reveal that differences in the GDP dynamics in several peripheral countries compared to a euro zone core are triggered by idiosyncratic, and to a lesser extent also world, shocks. Additionally, real shocks prove relevant rather than nominal ones.